<t>hojdard,fair clarification (I should have been more clear). Take DiceMan example, then from the weighted sum of EL, one gets the size-weighted sum of inverses, i.e. sum of 1/(1+si) equals 1/(1+s) (si spread on tranche i).Also true that for huge index spreads S(T) (i.e. survival) can be 0 and then...